Hi alexito, also another option is to save to a polygon mesh format like .obj - then on the "Meshing options" dialog that shows up there is a Display: option which you can set to Display: Shaded . That's actually what I used for that particular image in the documentation.

One thing that is good about this method is that you can also adjust the mesh density to be extra high as well.

If you want to use this method, you can set it up on a shortcut key, to do that go to Options / Shortcut keys and add in a new shortcut and as the command put in this:
SaveAs c:\test.obj

Then when you hit that key you will go through the steps to save to the test.obj file and get to adjust the mesh but just cancel out of the dialog when you are done with the screenshot.

In the future I'm also planning to have some more options in the View palette to make it easier to switch to a smooth shading mode temporarily.